1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/instruments/stock.hpp>
#include <ql/quotes/simplequote.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
using ext::shared_ptr;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(LazyObjectTests)
class TearDown { // NOLINT(cppcoreguidelines-special-member-functions)
bool alwaysForward;
public:
TearDown() : alwaysForward(LazyObject::Defaults::instance().forwardsAllNotifications()) {}
~TearDown() {
if (alwaysForward)
LazyObject::Defaults::instance().alwaysForwardNotifications();
else
LazyObject::Defaults::instance().forwardFirstNotificationOnly();
}
};
BOOST_AUTO_TEST_CASE(testDiscardingNotifications) {
BOOST_TEST_MESSAGE("Testing that lazy objects can discard notifications after the first against default...");
TearDown teardown;
LazyObject::Defaults::instance().alwaysForwardNotifications();
ext::shared_ptr<SimpleQuote> q(new SimpleQuote(0.0));
ext::shared_ptr<Instrument> s(new Stock(Handle<Quote>(q)));
Flag f;
f.registerWith(s);
s->forwardFirstNotificationOnly();
s->NPV();
q->setValue(1.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change");
f.lower();
q->setValue(2.0);
if (f.isUp())
BOOST_FAIL("Observer was notified of second change");
f.lower();
s->NPV();
q->setValue(3.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change after recalculation");
}
BOOST_AUTO_TEST_CASE(testDiscardingNotificationsByDefault) {
BOOST_TEST_MESSAGE("Testing that lazy objects can discard notifications after the first by default...");
TearDown teardown;
LazyObject::Defaults::instance().forwardFirstNotificationOnly();
ext::shared_ptr<SimpleQuote> q(new SimpleQuote(0.0));
ext::shared_ptr<Instrument> s(new Stock(Handle<Quote>(q)));
Flag f;
f.registerWith(s);
s->NPV();
q->setValue(1.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change");
f.lower();
q->setValue(2.0);
if (f.isUp())
BOOST_FAIL("Observer was notified of second change");
f.lower();
s->NPV();
q->setValue(3.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change after recalculation");
}
BOOST_AUTO_TEST_CASE(testForwardingNotificationsByDefault) {
BOOST_TEST_MESSAGE("Testing that lazy objects can forward all notifications by default...");
TearDown teardown;
LazyObject::Defaults::instance().alwaysForwardNotifications();
ext::shared_ptr<SimpleQuote> q(new SimpleQuote(0.0));
ext::shared_ptr<Instrument> s(new Stock(Handle<Quote>(q)));
Flag f;
f.registerWith(s);
s->NPV();
q->setValue(1.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change");
f.lower();
q->setValue(2.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of second change");
}
BOOST_AUTO_TEST_CASE(testForwardingNotifications) {
BOOST_TEST_MESSAGE("Testing that lazy objects can forward all notifications against default...");
TearDown teardown;
LazyObject::Defaults::instance().forwardFirstNotificationOnly();
ext::shared_ptr<SimpleQuote> q(new SimpleQuote(0.0));
ext::shared_ptr<Instrument> s(new Stock(Handle<Quote>(q)));
Flag f;
f.registerWith(s);
s->alwaysForwardNotifications();
s->NPV();
q->setValue(1.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change");
f.lower();
q->setValue(2.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of second change");
}
BOOST_AUTO_TEST_CASE(testNotificationLoop) {
BOOST_TEST_MESSAGE("Testing that lazy objects manage recursive notifications...");
TearDown teardown;
LazyObject::Defaults::instance().alwaysForwardNotifications();
auto q = ext::make_shared<SimpleQuote>(0.0);
auto s1 = ext::make_shared<Stock>(Handle<Quote>(q));
auto s2 = ext::make_shared<Stock>(Handle<Quote>());
auto s3 = ext::make_shared<Stock>(Handle<Quote>());
s3->registerWith(s2);
s2->registerWith(s1);
s1->registerWith(s3);
#ifdef QL_THROW_IN_CYCLES
BOOST_CHECK_EXCEPTION(q->setValue(2.0), Error,
ExpectedErrorMessage("recursive notification loop detected"));
#else
Flag f;
f.registerWith(s3);
q->setValue(2.0);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of change");
#endif
// We have produced a ring of dependencies which we break here
// see https://github.com/lballabio/QuantLib/issues/1725
s1->unregisterWithAll();
s2->unregisterWithAll();
s3->unregisterWithAll();
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
